Is Publicity Killing the January Effect?

Riepe, Mark W.
February 1998
Journal of Financial Planning;Feb1998, Vol. 11 Issue 1, p64
Academic Journal
This article looks at the history of the January effect and theories as to why it exists. Wachtel (1942) wrote the first academic study documenting the January effect. He knew he was on to something and wrote "that the findings of this brief study have barely scratched the surface of a little-explored subject." Small stocks are riskier in January. Traditional risk measures do not fully account for the risk of small stocks in January. The article concludes with an empirical analysis of whether the effect is weakening and whether small company mutual funds exhibit the same tendencies as small-cap indexes.


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